Fourier-Malliavin Volatility Estimation
Springer International Publishing (Verlag)
978-3-319-50967-9 (ISBN)
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study.
Introduction.- A First Glance at Fourier Method.- Estimation of Integrated Volatility.- Estimation of Instantaneous Volatility.- High Frequency Analysis: Market Microstructure Noise Issues.- Getting Inside the Latent Volatility.- Mathematical Essentials.- Codes for the Fourier Estimator.
"This is a very interesting book on Fourier-Malliavin volatility estimation. ... this is a easy-to-read and self-contained book for everyone interested in Fourier methods in volatility estimation." (Elisa Alòs, zbMath 1416.91005, 2019)
| Erscheinungsdatum | 22.03.2017 |
|---|---|
| Reihe/Serie | SpringerBriefs in Quantitative Finance |
| Zusatzinfo | X, 138 p. 25 illus. in color. |
| Verlagsort | Cham |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Betriebswirtschaft / Management | |
| Schlagworte | convolution • Data Mining • data mining and knowledge discovery • Expert systems / knowledge-based systems • Finance and Accounting • fourier analysis • Game Theory • Game Theory, Economics, Social and Behav. Sciences • High Frequency Data • Leverage • Mathematics • mathematics and statistics • Microstructure Noise • Multivariate Volatility • Non-parametric estimation • Quantitative Finance • Volatility of Volatility |
| ISBN-10 | 3-319-50967-5 / 3319509675 |
| ISBN-13 | 978-3-319-50967-9 / 9783319509679 |
| Zustand | Neuware |
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